Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0642
Annualized Std Dev 0.2414
Annualized Sharpe (Rf=0%) -0.2661

Row

Daily Return Statistics

Close
Observations 3916.0000
NAs 1.0000
Minimum -0.2062
Quartile 1 -0.0055
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0003
Quartile 3 0.0063
Maximum 0.1693
SE Mean 0.0002
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0152
Skewness -1.3146
Kurtosis 29.9390

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0105
Loss Deviation 0.0140
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.8137
Historical VaR (95%) -0.0219
Historical ES (95%) -0.0389
Modified VaR (95%) -0.0212
Modified ES (95%) -0.0212
From Trough To Depth Length To Trough Recovery
2005-09-01 2020-03-18 NA -0.8137 3914 3660 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA -0.3 -0.2 -0.3 0.6 -0.1 -0.3
2006 -0.2 0.6 0.2 -0.1 1 0.8 0.5 -0.1 1.2 0.1 0.3 0.4 4.9
2007 -0.1 -1.5 1 0.1 0.9 0.7 0.4 2.2 0.6 -1.8 1.9 0.7 5.1
2008 0.4 -1.1 2.7 2 0.6 -0.5 -0.9 -0.1 1.3 1 -8.7 2.3 -1.6
2009 -0.4 -1.9 1.6 0.4 2.5 0.9 0.6 -0.9 0.3 -3.9 2.3 -0.4 1.1
2010 1 1.9 1.6 -2.3 -0.7 -0.9 -0.1 2.2 0 0.7 1.7 -1 4
2011 2.6 -0.6 2.1 0.4 0.5 -1.2 2.1 -1.7 -2.5 -0.8 1.2 0.5 2.7
2012 2 1.5 1.8 0.7 -1.1 -0.1 0.5 1 0.1 1.8 -0.3 1.6 9.9
2013 -0.1 0.3 1.1 -0.1 -1.4 0.9 -0.2 0.8 1.7 0.7 0.7 -0.7 3.6
2014 -0.9 -0.5 0.8 0.1 2.1 -0.9 0 0.2 -0.2 0.6 -0.9 0.8 1
2015 -0.7 0.5 0 0.2 0.9 2.3 0 -2.9 1.8 0.4 0.6 0.7 3.8
2016 0.5 2.4 0.3 -0.6 0.7 1.2 0.1 -0.6 -0.1 -0.4 -0.5 1 4
2017 -1.5 0.6 -0.1 -0.7 0.4 1 0.1 0.5 0.5 -0.8 0.1 -1 -1
2018 -0.3 0 1.5 0 -0.7 0.7 0.5 -0.1 0.2 1.6 -0.1 0.6 3.9
2019 1.3 0.6 0.8 0 -1.2 0 -0.5 -0.5 0 0.8 0 0.8 2
2020 -1.4 -3.3 -5.5 -3.2 1.5 0.7 -0.4 0.3 0.6 -2 1.3 1.2 -9.8
2021 1.2 1.8 0 NA NA NA NA NA NA NA NA NA 3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart